CHAPTER VII

PARAMETERS AND METHODS FOR CALCULATING LIQUIDITY THRESHOLD FOR SUSPENDING RESTRICTIONS ON SHORT SALES OF SOVEREIGN DEBT PURSUANT TO ARTICLE 13(4)

Methods for calculating and determining the threshold of liquidity for suspending restrictions on short sales in sovereign debt
Article 22
1
The measure of liquidity of the issued sovereign debt to be used by the FCA is the turnover, defined as the total nominal value of debt instruments traded, in relation to a basket of benchmarks with different maturities.
2
The temporary suspension of restrictions on uncovered short sales in sovereign debt may be triggered when the turnover of a month falls below the fifth percentile of the monthly volume traded in the previous 12 months.
3
To perform these calculations the FCA shall use the representative data readily available, from one or more trading venues, from over the counter (OTC) trading or from both ....
4
Before the FCA exercises the power to lift the restrictions on short selling related to sovereign debt, it shall ensure that the significant drop in liquidity is not the result of seasonal effects on liquidity.
Words in Art. 22(1) substituted (31.12.2020) by The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(12)(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Words in Art. 22(3) substituted (31.12.2020) by The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(12)(b)(i) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Words in Art. 22(3) omitted (31.12.2020) by virtue of The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(12)(b)(ii) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Words in Art. 22(4) substituted (31.12.2020) by The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(12)(c)(i) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Word in Art. 22(4) substituted (31.12.2020) by The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(12)(c)(ii) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)